Hasil var

Vector Autoregression Estimates

Date: 10/27/19 Time: 16:30
Sample (adjusted): 2002 2018
Included observations: 17 after adjustments
Standard errors in ( ) & t-statistics in [ ]

EKS INF JUB KURS PDB SB

EKS(-1) 0.354423 -0.030422 -1.520342 527.0738 -0.306273 0.112215

(0.28569) (0.49956) (0.82985) (230.821) (0.99712) (0.52157)
[ 1.24057] [-0.06090] [-1.83206] [ 2.28347] [-0.30716] [ 0.21515]

INF(-1) -0.970491 -0.248183 0.470312 -338.8816 -1.158436 -0.536485

(0.18446) (0.32254) (0.53580) (149.030) (0.64379) (0.33675)
[-5.26132] [-0.76947] [ 0.87778] [-2.27392] [-1.79940] [-1.59310]

JUB(-1) -0.075047 -0.233120 -0.189123 51.49175 -0.155145 -0.269345

(0.11068) (0.19353) (0.32149) (89.4223) (0.38629) (0.20206)
[-0.67806] [-1.20455] [-0.58827] [ 0.57583] [-0.40163] [-1.33298]

KURS(-1) -0.000822 -0.000339 0.002497 0.633398 -0.000973 0.000119

(0.00020) (0.00035) (0.00057) (0.15975) (0.00069) (0.00036)
[-4.15677] [-0.98049] [ 4.34728] [ 3.96493] [-1.41057] [ 0.32871]

PDB(-1) 0.103886 0.102777 0.674139 -43.50788 1.083863 0.044753

(0.07457) (0.13040) (0.21661) (60.2497) (0.26027) (0.13614)
[ 1.39309] [ 0.78819] [ 3.11221] [-0.72213] [ 4.16437] [ 0.32872]

SB(-1) 0.095505 -0.121604 -0.469781 -229.4783 -0.135092 -0.044985

(0.15615) (0.27304) (0.45357) (126.160) (0.54499) (0.28508)
[ 0.61162] [-0.44537] [-1.03573] [-1.81895] [-0.24788] [-0.15780]

C 31.84713 28.36037 106.0824 -10817.36 38.78140 31.20676

(13.4676) (23.5491) (39.1193) (10880.9) (47.0041) (24.5870)
[ 2.36473] [ 1.20431] [ 2.71177] [-0.99416] [ 0.82506] [ 1.26924]

R-squared 0.876598 0.536129 0.966226 0.924387 0.977760 0.595786

Adj. R-squared 0.802556 0.257807 0.945962 0.879019 0.964416 0.353258
Sum sq. resids 7.355783 22.49051 62.06309 4801551. 89.60302 24.51669
S.E. equation 0.857659 1.499684 2.491247 692.9322 2.993376 1.565781
F-statistic 11.83930 1.926287 47.68107 20.37528 73.27316 2.456563
Log likelihood -17.00128 -26.50094 -35.12893 -130.8075 -38.25045 -27.23415
Akaike AIC 2.823680 3.941287 4.956345 16.21264 5.323582 4.027547
Schwarz SC 3.166768 4.284374 5.299432 16.55573 5.666670 4.370635
Mean dependent 28.76841 3.465118 108.3671 10892.47 63.93729 7.418824
S.D. dependent 1.930159 1.740769 10.71682 1992.193 15.86841 1.946997

Determinant resid covariance (dof adj.) 3100676.

Determinant resid covariance 128458.5
Log likelihood -244.7203
Akaike information criterion 33.73180
Schwarz criterion 35.79033

Uji kausalitas granger

Pairwise Granger Causality Tests
Date: 10/27/19 Time: 16:31
Sample: 2001 2018
Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

INF does not Granger Cause EKS 16 9.27750 0.0044

EKS does not Granger Cause INF 1.12126 0.3604

JUB does not Granger Cause EKS 16 0.41078 0.6729

EKS does not Granger Cause JUB 3.24489 0.0780

KURS does not Granger Cause EKS 16 0.86495 0.4478

EKS does not Granger Cause KURS 2.34932 0.1414

PDB does not Granger Cause EKS 16 0.62347 0.5540

EKS does not Granger Cause PDB 1.25322 0.3234

SB does not Granger Cause EKS 16 0.62993 0.5508

EKS does not Granger Cause SB 0.42271 0.6655

JUB does not Granger Cause INF 16 2.00499 0.1810

INF does not Granger Cause JUB 4.35898 0.0404

KURS does not Granger Cause INF 16 2.70245 0.1110

INF does not Granger Cause KURS 0.97707 0.4068

PDB does not Granger Cause INF 16 4.08982 0.0470

INF does not Granger Cause PDB 3.49241 0.0669

SB does not Granger Cause INF 16 1.27328 0.3181

INF does not Granger Cause SB 0.03433 0.9664

KURS does not Granger Cause JUB 16 6.29053 0.0151

JUB does not Granger Cause KURS 2.17861 0.1596

PDB does not Granger Cause JUB 16 3.54892 0.0647

JUB does not Granger Cause PDB 0.75530 0.4928

SB does not Granger Cause JUB 16 0.10029 0.9054

JUB does not Granger Cause SB 2.81115 0.1032

PDB does not Granger Cause KURS 16 2.30431 0.1459

KURS does not Granger Cause PDB 1.51756 0.2618

SB does not Granger Cause KURS 16 2.25022 0.1516

KURS does not Granger Cause SB 1.15337 0.3510

SB does not Granger Cause PDB 16 1.86470 0.2007

PDB does not Granger Cause SB 1.59503 0.2465

Hasil uji stasioner per variabel

Null Hypothesis: D(EKS) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=3)
 t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.045606 0.0012

Test critical values: 1% level -3.920350
5% level -3.065585
10% level -2.673459

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(EKS,2)
Method: Least Squares
Date: 10/27/19 Time: 20:55
Sample (adjusted): 2003 2018
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(EKS(-1)) -1.289794 0.255627 -5.045606 0.0002

C 0.344329 0.529136 0.650738 0.5258

R-squared 0.645194 Mean dependent var 0.014625

Adjusted R-squared 0.619850 S.D. dependent var 3.406533
S.E. of regression 2.100342 Akaike info criterion 4.438546
Sum squared resid 61.76010 Schwarz criterion 4.535120
Log likelihood -33.50837 Hannan-Quinn criter. 4.443491
F-statistic 25.45814 Durbin-Watson stat 2.118541
Prob(F-statistic) 0.000179

Null Hypothesis: D(INF) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.653648 0.0004

Test critical values: 1% level -3.920350
5% level -3.065585
10% level -2.673459

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(INF,2)
Method: Least Squares
Date: 10/27/19 Time: 20:56
Sample (adjusted): 2003 2018
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(INF(-1)) -1.385642 0.245088 -5.653648 0.0001

C -0.074020 0.479693 -0.154307 0.8796
R-squared 0.695412 Mean dependent var 0.076062
Adjusted R-squared 0.673656 S.D. dependent var 3.353661
S.E. of regression 1.915831 Akaike info criterion 4.254648
Sum squared resid 51.38570 Schwarz criterion 4.351222
Log likelihood -32.03719 Hannan-Quinn criter. 4.259594
F-statistic 31.96374 Durbin-Watson stat 2.306934
Prob(F-statistic) 0.000060

Null Hypothesis: D(JUB) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.338956 0.0001

Test critical values: 1% level -3.920350
5% level -3.065585
10% level -2.673459

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(JUB,2)
Method: Least Squares
Date: 10/27/19 Time: 20:57
Sample (adjusted): 2003 2018
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(JUB(-1)) -1.481198 0.233666 -6.338956 0.0000

C 2.553219 1.042948 2.448080 0.0281

R-squared 0.741613 Mean dependent var 0.069250

Adjusted R-squared 0.723157 S.D. dependent var 7.347850
S.E. of regression 3.866134 Akaike info criterion 5.658856
Sum squared resid 209.2579 Schwarz criterion 5.755430
Log likelihood -43.27085 Hannan-Quinn criter. 5.663801
F-statistic 40.18236 Durbin-Watson stat 2.018798
Prob(F-statistic) 0.000018

Null Hypothesis: D(KURS) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.912238 0.0102

Test critical values: 1% level -3.920350
5% level -3.065585
10% level -2.673459

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
 and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 10/27/19 Time: 20:57
Sample (adjusted): 2003 2018
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(KURS(-1)) -1.015636 0.259605 -3.912238 0.0016

C 304.6473 260.7420 1.168386 0.2622

R-squared 0.522276 Mean dependent var 140.8125

Adjusted R-squared 0.488153 S.D. dependent var 1438.884
S.E. of regression 1029.428 Akaike info criterion 16.82786
Sum squared resid 14836111 Schwarz criterion 16.92444
Log likelihood -132.6229 Hannan-Quinn criter. 16.83281
F-statistic 15.30561 Durbin-Watson stat 2.044172
Prob(F-statistic) 0.001564

Null Hypothesis: D(PDB) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.515169 0.0217

Test critical values: 1% level -3.920350
5% level -3.065585
10% level -2.673459

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PDB,2)
Method: Least Squares
Date: 10/27/19 Time: 20:58
Sample (adjusted): 2003 2018
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(PDB(-1)) -0.938052 0.266858 -3.515169 0.0034

C 3.011999 1.152727 2.612934 0.0205

R-squared 0.468820 Mean dependent var 0.226688

Adjusted R-squared 0.430879 S.D. dependent var 4.439099
S.E. of regression 3.348863 Akaike info criterion 5.371587
Sum squared resid 157.0083 Schwarz criterion 5.468161
Log likelihood -40.97270 Hannan-Quinn criter. 5.376533
F-statistic 12.35641 Durbin-Watson stat 1.906128
Prob(F-statistic) 0.003430
Null Hypothesis: D(SB) has a unit root
Exogenous: Constant
Lag Length: 3 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.496435 0.0047

Test critical values: 1% level -4.057910
5% level -3.119910
10% level -2.701103

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 13

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SB,2)
Method: Least Squares
Date: 10/27/19 Time: 20:58
Sample (adjusted): 2006 2018
Included observations: 13 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(SB(-1)) -1.917507 0.426450 -4.496435 0.0020

D(SB(-1),2) 0.757415 0.383990 1.972485 0.0840
D(SB(-2),2) 0.345362 0.268847 1.284604 0.2349
D(SB(-3),2) 0.377228 0.166679 2.263204 0.0535
C -0.613072 0.277969 -2.205539 0.0585

R-squared 0.931595 Mean dependent var -0.367692

Adjusted R-squared 0.897393 S.D. dependent var 3.073091
S.E. of regression 0.984382 Akaike info criterion 3.090118
Sum squared resid 7.752064 Schwarz criterion 3.307406
Log likelihood -15.08576 Hannan-Quinn criter. 3.045455
F-statistic 27.23780 Durbin-Watson stat 1.607311
Prob(F-statistic) 0.000103

uji lag stucture

Roots of Characteristic Polynomial

Endogenous variables: EKS INF JUB KURS PDB SB
Exogenous variables: C
Lag specification: 1 1
Date: 10/27/19 Time: 21:00

Root Modulus

0.929596 - 0.083857i 0.933370

0.929596 + 0.083857i 0.933370
-0.626339 0.626339
0.067593 - 0.617686i 0.621373
0.067593 + 0.617686i 0.621373
0.221354 0.221354

No root lies outside the unit circle.

VAR satisfies the stability condition.

Inverse Roots of AR Characteristic Polynomial

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5

Uji panjang lag

Vector Autoregression Estimates

Date: 10/27/19 Time: 21:03
Sample (adjusted): 2002 2018
Included observations: 17 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Determinant resid covariance (dof adj.) 3100676.

Determinant resid covariance 128458.5
Log likelihood -244.7203
Akaike information criterion 33.73180
Schwarz criterion 35.79033

Vector Autoregression Estimates

Date: 10/27/19 Time: 21:12
Sample (adjusted): 2003 2018
Included observations: 16 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Determinant resid covariance (dof adj.) 0.000000

Determinant resid covariance 0.000000
Pengujian var

Estimation Proc:
===============================
LS 1 1 EKS INF JUB KURS PDB SB @ C

VAR Model:
===============================
EKS = C(1,1)*EKS(-1) + C(1,2)*INF(-1) + C(1,3)*JUB(-1) + C(1,4)*KURS(-1) + C(1,5)*PDB(-1) + C(1,6)*SB(-1) +
C(1,7)

INF = C(2,1)*EKS(-1) + C(2,2)*INF(-1) + C(2,3)*JUB(-1) + C(2,4)*KURS(-1) + C(2,5)*PDB(-1) + C(2,6)*SB(-1) +

C(2,7)

JUB = C(3,1)*EKS(-1) + C(3,2)*INF(-1) + C(3,3)*JUB(-1) + C(3,4)*KURS(-1) + C(3,5)*PDB(-1) + C(3,6)*SB(-1) +

C(3,7)

KURS = C(4,1)*EKS(-1) + C(4,2)*INF(-1) + C(4,3)*JUB(-1) + C(4,4)*KURS(-1) + C(4,5)*PDB(-1) + C(4,6)*SB(-1)

+ C(4,7)

PDB = C(5,1)*EKS(-1) + C(5,2)*INF(-1) + C(5,3)*JUB(-1) + C(5,4)*KURS(-1) + C(5,5)*PDB(-1) + C(5,6)*SB(-1) +

C(5,7)

SB = C(6,1)*EKS(-1) + C(6,2)*INF(-1) + C(6,3)*JUB(-1) + C(6,4)*KURS(-1) + C(6,5)*PDB(-1) + C(6,6)*SB(-1) +

C(6,7)

VAR Model - Substituted Coefficients:

===============================
EKS = 0.354423067431*EKS(-1) - 0.970490751059*INF(-1) - 0.075047416803*JUB(-1) -
0.000821904391785*KURS(-1) + 0.103885823637*PDB(-1) + 0.0955051412152*SB(-1) + 31.8471253097

INF = - 0.0304223652789*EKS(-1) - 0.248182956985*INF(-1) - 0.233119666969*JUB(-1) -

0.000338994260096*KURS(-1) + 0.102776519219*PDB(-1) - 0.12160364393*SB(-1) + 28.3603733648

JUB = - 1.52034172176*EKS(-1) + 0.47031243693*INF(-1) - 0.189123356185*JUB(-1) +

0.00249680833935*KURS(-1) + 0.674139078754*PDB(-1) - 0.469780710279*SB(-1) + 106.082445322

KURS = 527.073811092*EKS(-1) - 338.881648819*INF(-1) + 51.4917469451*JUB(-1) +

0.633398497766*KURS(-1) - 43.507879795*PDB(-1) - 229.478337471*SB(-1) - 10817.3594936

PDB = - 0.306272617369*EKS(-1) - 1.15843610459*INF(-1) - 0.155145133892*JUB(-1) -

0.000973438727949*KURS(-1) + 1.08386256278*PDB(-1) - 0.135092113892*SB(-1) + 38.7813986526

SB = 0.112214706662*EKS(-1) - 0.536484603597*INF(-1) - 0.269344864341*JUB(-1) +

0.000118658639742*KURS(-1) + 0.0447527285591*PDB(-1) - 0.0449853194537*SB(-1) + 31.2067558075

Uji irf

Respo
nse of
EKS:
Period EKS INF JUB KURS PDB SB
 1 0.857659 0.000000 0.000000 0.000000 0.000000 0.000000
2 -0.493168 -1.141113 0.257076 -0.412386 0.121812 0.110461
3 -0.198006 -0.262404 0.342439 -0.439024 -0.032306 0.413367
4 0.178424 0.383539 -0.136611 0.035098 0.199340 0.090552
5 0.309937 0.297168 0.067219 -0.017221 0.064015 -0.060242
6 0.049439 -0.036127 0.061408 -0.098990 0.057275 -0.008167
7 0.017543 -0.012179 0.074412 -0.138243 0.007171 0.075658
8 0.048608 0.079480 -0.022930 -0.064320 0.031799 0.048043
9 0.076079 0.088892 -0.016868 -0.052322 0.005303 0.017969
10 0.033313 0.032572 -0.028120 -0.054754 -0.004567 0.015306

Respo
nse of
INF:
Period EKS INF JUB KURS PDB SB

1 1.061192 1.059681 0.000000 0.000000 0.000000 0.000000

2 0.061818 -0.210981 -0.103260 -0.128568 0.173062 -0.140646
3 -0.056762 -0.221476 0.258292 -0.465393 -0.141054 0.238453
4 -0.019032 0.117609 -0.202966 -0.151055 0.050617 0.164149
5 0.199210 0.281008 -0.115454 -0.109858 -0.060617 0.050187
6 0.049288 0.069379 -0.175094 -0.095080 -0.049699 0.009227
7 -0.010772 0.001989 -0.122266 -0.147398 -0.120948 0.063749
8 -0.041994 0.020406 -0.202681 -0.095699 -0.106828 0.061533
9 -0.019020 0.047092 -0.205486 -0.071121 -0.131346 0.041818
10 -0.046752 0.012573 -0.223636 -0.051017 -0.135276 0.025513

Respo
nse of
JUB:
Period EKS INF JUB KURS PDB SB

1 -0.912363 -0.074329 2.316976 0.000000 0.000000 0.000000

2 0.632921 1.594099 0.176573 1.549754 1.055429 -0.543347
3 0.963549 0.619135 1.194208 0.987730 0.692035 -0.874904
4 -0.043750 -0.748710 1.424811 0.377057 0.779233 -0.413728
5 0.039832 -0.388666 1.530190 0.152358 0.767988 -0.008425
6 0.400794 0.175501 1.267125 0.355100 0.978428 -0.116097
7 0.618305 0.261775 1.395425 0.277128 0.962978 -0.206149
8 0.532691 0.097680 1.434165 0.135822 0.979917 -0.154113
9 0.542581 0.134473 1.448822 0.024827 0.963311 -0.061301
10 0.603352 0.245355 1.372312 0.002894 0.979541 -0.041774

Respo
nse of
KURS:
Period EKS INF JUB KURS PDB SB

1 58.80332 199.3321 -410.8383 517.8569 0.000000 0.000000

2 -51.75994 -205.6037 0.038286 352.1726 -4.936361 -265.4141
3 -270.2470 -439.7536 215.1224 118.7700 -27.33847 -71.46944
4 -180.6033 -197.4895 152.8282 158.9277 62.29493 -12.16318
5 -1.895606 -4.010048 160.0850 208.1213 112.7451 -76.29341
6 26.30036 -38.96350 217.0795 174.9746 138.5262 -102.6507
7 10.94614 -81.18588 273.3509 113.2983 149.0171 -67.81307
8 30.27228 -47.36751 282.1516 90.94687 172.9263 -43.03658
9 73.11808 0.812329 288.8088 81.20299 190.7077 -41.32848
10 96.23417 15.70732 298.8260 63.95417 201.8892 -40.98725

Respo
nse of
 PDB:
Period EKS INF JUB KURS PDB SB

1 1.826047 0.681799 1.771457 0.271616 1.396127 0.000000

2 0.539107 -0.635346 2.088826 -0.188526 1.546063 -0.156247
3 0.636125 -0.076732 2.351862 -0.523247 1.269073 0.309439
4 0.961098 0.649999 1.729384 -0.113088 1.508321 0.111107
5 1.224703 0.774281 1.821813 -0.163631 1.339990 -0.041777
6 0.987301 0.460897 1.719007 -0.271026 1.292674 -0.013487
7 0.914345 0.439214 1.670903 -0.383216 1.166303 0.101034
8 0.902371 0.525768 1.464483 -0.348980 1.128129 0.108511
9 0.914954 0.560889 1.357482 -0.355588 1.032188 0.093955
10 0.844037 0.505542 1.231934 -0.370336 0.951315 0.095942

Respo
nse of
SB:
Period EKS INF JUB KURS PDB SB

1 0.239719 -0.264674 -0.950111 -0.156792 -0.243187 1.156597

2 -0.149417 -0.482411 -0.550797 0.080657 0.073420 -0.052030
3 -0.234273 -0.475352 0.154949 -0.364996 -0.298148 0.198052
4 -0.244354 -0.111619 -0.297989 -0.058533 -0.047385 0.150569
5 0.074590 0.192281 -0.181273 -0.000151 -0.137644 0.030289
6 -0.031594 0.012801 -0.233985 0.033347 -0.087612 -0.043701
7 -0.080120 -0.073118 -0.127253 -0.048611 -0.152215 0.014585
8 -0.112967 -0.059630 -0.188969 -0.012599 -0.116957 0.025634
9 -0.066436 -0.007747 -0.172603 0.003281 -0.126789 0.012486
10 -0.074789 -0.025963 -0.179100 0.019171 -0.113877 -0.005168

Choles
ky
Orderin
g: EKS
INF
JUB
KURS
PDB
SB

uji fevd

Varian
ce
Decom
position
of EKS:
Period S.E. EKS INF JUB KURS PDB SB

1 0.857659 100.0000 0.000000 0.000000 0.000000 0.000000 0.000000

2 1.595030 38.47274 51.18223 2.597668 6.684525 0.583235 0.479601
3 1.770341 32.48134 43.74434 5.850225 11.57602 0.506743 5.841340
4 1.838715 31.05217 44.90248 5.975221 10.76753 1.645083 5.657516
5 1.891504 32.02807 44.89942 5.772652 10.18320 1.669079 5.447577
6 1.896959 31.91205 44.67783 5.844291 10.39703 1.750656 5.418143
7 1.905081 31.64901 44.30178 5.947131 10.83514 1.737178 5.529762
8 1.909449 31.56918 44.27258 5.934374 10.89909 1.756973 5.567797
9 1.913911 31.58014 44.28207 5.914498 10.92306 1.749556 5.550676
10 1.915534 31.55690 44.23598 5.926032 10.98626 1.747161 5.547660

Varian
 ce
Decom
position
of INF:
Period S.E. EKS INF JUB KURS PDB SB

1 1.499684 50.07124 49.92876 0.000000 0.000000 0.000000 0.000000

2 1.540880 47.59063 49.16951 0.449082 0.696195 1.261432 0.833144
3 1.669325 40.66436 43.65423 2.776722 8.365624 1.788763 2.750303
4 1.701281 39.16354 42.50752 4.096682 8.842649 1.810715 3.578894
5 1.744878 38.53439 43.00352 4.332334 8.802692 1.842047 3.485015
6 1.759004 37.99647 42.47117 5.253877 8.954052 1.892408 3.432017
7 1.774707 37.33076 41.72307 5.635953 9.486113 2.323524 3.500585
8 1.793655 36.60099 40.85911 6.794374 9.571407 2.629413 3.544702
9 1.812750 35.84499 40.07036 7.936954 9.524755 3.099310 3.523637
10 1.833023 35.12155 39.19362 9.250855 9.392701 3.575772 3.465499

Varian
ce
Decom
position
of JUB:
Period S.E. EKS INF JUB KURS PDB SB

1 2.491247 13.41225 0.089019 86.49873 0.000000 0.000000 0.000000

2 3.604181 9.491790 19.60471 41.56664 18.48896 8.575205 2.272698
3 4.236507 12.04270 16.32497 38.03038 18.81742 8.874769 5.909765
4 4.632613 10.08026 16.26463 41.26431 16.39953 10.25132 5.739943
5 4.956644 8.811846 14.82247 45.57599 14.41992 11.35548 5.014286
6 5.240444 8.468197 13.37265 46.61984 13.35953 13.64481 4.534968
7 5.559399 8.761334 12.10395 47.72418 12.11906 15.12445 4.167034
8 5.853160 8.732233 10.94733 49.05766 10.98696 16.44724 3.828583
9 6.132160 8.738607 10.02192 50.27734 10.01158 17.45243 3.498117
10 6.393131 8.930407 9.367710 50.86408 9.210926 18.40425 3.222626

Varian
ce
Decom
position
of
KURS:
Period S.E. EKS INF JUB KURS PDB SB

1 692.9322 0.720149 8.275098 35.15284 55.85191 0.000000 0.000000

2 848.2934 0.852822 11.39605 23.45578 54.50257 0.003386 9.789392
3 1025.796 7.523857 26.17129 20.43851 38.61295 0.073343 7.180040
4 1084.675 9.501570 26.72215 20.26504 36.68154 0.395439 6.434267
5 1124.284 8.844167 24.87375 20.88976 37.56923 1.373710 6.449387
6 1172.045 8.188398 22.99833 22.65235 36.79843 2.660963 6.701535
7 1222.605 7.533169 21.57646 25.81638 34.67659 3.931023 6.466372
8 1271.833 7.017945 20.07720 28.77812 32.55547 5.481280 6.089982
9 1323.249 6.788491 18.54731 31.34880 30.45126 7.140675 5.723460
10 1377.070 6.756589 17.13886 33.65518 28.33317 8.742799 5.373405

Varian
ce
Decom
position
of PDB:
Period S.E. EKS INF JUB KURS PDB SB

1 2.993376 37.21355 5.187883 35.02180 0.823357 21.75341 0.000000

2 4.058086 22.01280 5.273936 45.55031 0.663815 26.35089 0.148246
 3 4.938618 16.52212 3.585096 53.43393 1.570749 24.39541 0.492686
4 5.570197 15.96491 4.179901 51.64287 1.275962 26.50929 0.427080
5 6.186242 16.86285 4.955402 50.54216 1.104451 26.18432 0.350816
6 6.645029 16.82226 4.775838 50.49610 1.123560 26.47779 0.304458
7 7.035239 16.69704 4.650504 50.69076 1.299088 26.37036 0.292245
8 7.357734 16.76955 4.762391 50.30621 1.412668 26.46024 0.288938
9 7.637501 16.99864 4.959208 49.84732 1.527836 26.38371 0.283291
10 7.865647 17.17831 5.088783 49.45062 1.662168 26.33815 0.281973

Varian
ce
Decom
position
of SB:
Period S.E. EKS INF JUB KURS PDB SB

1 1.565781 2.343921 2.857330 36.82024 1.002729 2.412233 54.56355

2 1.739165 2.637969 10.01002 39.87468 1.027844 2.133456 44.31603
3 1.894964 3.750447 14.72429 34.25606 4.575790 4.272559 38.42085
4 1.944272 5.142152 14.31649 34.88957 4.437273 4.117993 37.09651
5 1.968617 5.159319 14.91860 34.87988 4.328205 4.505642 36.20835
6 1.985463 5.097464 14.67068 35.67937 4.283281 4.624226 35.64499
7 1.998941 5.189601 14.60729 35.60509 4.284851 5.141928 35.17124
8 2.015512 5.418768 14.45562 35.90109 4.218592 5.394457 34.61147
9 2.028003 5.459541 14.27956 36.18457 4.167047 5.719072 34.19021
10 2.040711 5.526066 14.11845 36.50555 4.124134 5.959456 33.76635

Choles
ky
Orderin
g: EKS
INF
JUB
KURS
PDB
SB
 Variance Decomposition
Perc ent EKS v arianc e due to EKS Perc ent EKS v arianc e due to INF Perc ent EKS v arianc e due to J UB Perc ent EKS v arianc e due to KURS Perc ent EKS v arianc e due to PDB Perc ent EKS v arianc e due to SB
100 100 100 100 100 100

80 80 80 80 80 80

60 60 60 60 60 60

40 40 40 40 40 40

20 20 20 20 20 20

0 0 0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Perc ent INF v arianc e due to EKS Perc ent INF v arianc e due to INF Perc ent INF v arianc e due to J UB Perc ent INF v arianc e due to KURS Perc ent INF v arianc e due to PDB Perc ent INF v arianc e due to SB
60 60 60 60 60 60

40 40 40 40 40 40

20 20 20 20 20 20

0 0 0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Perc ent J UB v arianc e due to EKS Perc ent J UB v arianc e due to INF Perc ent J UB v arianc e due to J UB Perc ent J UB v arianc e due to KURS Perc ent J UB v arianc e due to PDB Perc ent J UB v arianc e due to SB
100 100 100 100 100 100

80 80 80 80 80 80

60 60 60 60 60 60

40 40 40 40 40 40

20 20 20 20 20 20

0 0 0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Perc ent KURS v arianc e due to EKS Perc ent KURS v arianc e due to INF Perc ent KURS v arianc e due to J UB Perc ent KURS v arianc e due to KURS Perc ent KURS v arianc e due to PDB Perc ent KURS v arianc e due to SB
60 60 60 60 60 60

40 40 40 40 40 40

20 20 20 20 20 20

0 0 0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Perc ent PDB v arianc e due to EKS Perc ent PDB v arianc e due to INF Perc ent PDB v arianc e due to J UB Perc ent PDB v arianc e due to KURS Perc ent PDB v arianc e due to PDB Perc ent PDB v arianc e due to SB
60 60 60 60 60 60

40 40 40 40 40 40

20 20 20 20 20 20

0 0 0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Perc ent SB v arianc e due to EKS Perc ent SB v arianc e due to INF Perc ent SB v arianc e due to J UB Perc ent SB v arianc e due to KURS Perc ent SB v arianc e due to PDB Perc ent SB v arianc e due to SB
60 60 60 60 60 60

40 40 40 40 40 40

20 20 20 20 20 20

0 0 0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
 Variance Decomposition of EKS Variance Decom position of INF
100 60

50
80

40
60
30
40
20

20
10

0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

EKS INF JUB EKS INF JUB

KURS PDB SB KURS PDB SB

Variance Decomposition of JUB Variance Decompos ition of KURS

100 60

50
80

40
60
30
40
20

20
10

0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

EKS INF JUB EKS INF JUB

KURS PDB SB KURS PDB SB

Variance Decomposition of PDB Variance Decomposition of SB

60 60

50 50

40 40

30 30

20 20

10 10

0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

EKS INF JUB EKS INF JUB

KURS PDB SB KURS PDB SB